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Overview

These reports shows the baseline and robustness results from the empirical exercise in the paper “Do local and foreign newspapers unveil the same economic policy uncertainty shocks?” by E. Andres-Escayola, C. Ghirelli, L. Molina, J.J. Perez, and E. Vidal. In particular, here we report the impulse response functions from the Bayesian VAR model. Please refer to the paper for specific details.

Prepared by E. Andres-Escayola

Country-specific results

Baseline comparison BR

BR IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Exchange rate & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Robustness idiosyncratic comparison BR

BR IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Exchange rate & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Robustness common BR

BR IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Exchange rate & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Baseline comparison MX

MX IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Exchange rate & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Robustness idiosyncratic comparison MX

MX IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Exchange rate & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Robustness common MX

MX IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Exchange rate & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Baseline comparison CL

CL IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Exchange rate & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Robustness idiosyncratic comparison CL

CL IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Exchange rate & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Robustness common CL

CL IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Exchange rate & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.